Effect of Investors’ Sentiment on Indian Stock Market

Jana, Samiran

doi:10.1177/0972150916656695

Cited by 13 publications

(8 citation statements)

References 31 publications

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“…Dash and Mahakud (2012) showed that sentiment could be an important factor in explaining stock return. Jana (2016) reported very low relationship between sentiment and returns. Mathur and Rastogi (2018), found that the broad market cannot be predictable by sentiment, but provided some understanding for small stocks.…”

Section: Literature Reviewmentioning

confidence: 97%

Asymmetric relationship of investor sentiment with stock return and volatility: evidence from India

Chakraborty

Subramaniam

2020

RBF

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PurposeThe study examines the cross-sectional and asymmetric relationship of investor sentiment with the stock returns and volatility in India.Design/methodology/approachThe investor sentiment is captured using a market-based measure Market Mood Index (MMI) and a survey-based measure Consumer Sentiment Index (CSI). The asymmetric effect of the relationship is examined using quantile causality approach and cross-sectional effect is examined by considering indices such as the BSE Sensex, and the various size indices such as BSE Large cap, BSE Mid cap and BSE Small cap.FindingsThe result of the study found that investor sentiment (MMI) cause stock returns at extreme quantiles. Lower sentiment induces fear-induced selling, thereby lowers the returns and high sentiment is followed by lower future returns as market reverts to fundamentals. On the other hand, bullish shifts in sentiment lower the volatility. There exists a positive feedback effect of stock return and volatility in the formation of investor sentiment.Originality/valueThe study captures both asymmetric and cross-sectional relationship of investor sentiment and stock market in an emerging economy, India. The study uses a novel data set (i.e.) MMI which captures the sentiment based on market indicators and are widely disseminated to the public.

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Section: Literature Reviewmentioning

confidence: 97%

Asymmetric relationship of investor sentiment with stock return and volatility: evidence from India

Chakraborty

Subramaniam

2020

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“…on current economic conditions to improve the accuracy of GDP nowcasts. The empirical work has shown the impact of sentiments on Indian stock market and economy (Jana, 2016). In future with improved availability of real time dataset for Indian economy, one can study the nowcasting models at frequency higher than monthly.…”

Section: Future Researchmentioning

confidence: 99%

Nowcasting Indian GDP in Real Time Using Factor Bridge Model and Factor VAR

Yadav

2019

Global Business Review

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Gross domestic product (GDP) is one of the key economic variables observed to assess the country’s overall economy. India is the third largest economy in the world but lagging in quality and timeliness of GDP reporting.1 The USA, UK, Euro zone and most of the developed countries have been providing better quality and timely information on GDP. Nowcasting is defined as estimation of very recent past, the immediate present and the very recent future (Giannone, Reichlin, & Small, 2008). Much of the work on GDP nowcasting uses pseudo real time data, whereas our research work has used a real time dataset for both the dependent and independent variables for nowcasting Indian GDP in real time. However, the real time datasets have issues of data revisions and biases, which have been handled in this article using a factor modelling approach with bridge model and vector auto regression model. We also explore the impact of within quarter new information flow and this will provide an opportunity to improve the nowcasting accuracy by using the most recent information.

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“…Garg and Varshney (2015) provide evidence that momentum profits are robust in the prominent sectors of the Indian stock market over the period of 2000-2013. In a very recent paper, Jana (2016) shows that sentiment-which is a behavioural phenomenon like momentum-has a causal relationship with the returns of Sensex (an index of 30 large Indian companies listed in the Bombay Stock Exchange). However, sentiment cannot explain the returns of S&P CNX Nifty (an index of 50 large Indian companies listed in the National Stock Exchange).…”

Section: Review Of Literaturementioning

confidence: 99%

Presence and Sources of Contrarian Profits in the Bangladesh Stock Market

Chowdhury

Sharmin

Rahman

2018

Global Business Review

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This article, using weekly data for the period 2002 through 2013, investigates the presence of both contrarian and momentum profits and their sources in the Bangladesh stock market. It follows the methodology of Lo and MacKinlay ( Review of Financial Studies, 1990, 3(2), 175–205) to form portfolios with a weighted relative strength scheme (WRSS). The methodology of Jegadeesh and Titman ( Review of Financial Studies, 1995, 8(4), 973–993) is used to decompose the contrarian/momentum profits into three elements: compensation for cross-sectional risk, lead–lag effect in time series with respect to the common factor and the time-series pattern of stock returns. Results provide the evidence of significant contrarian profits for the holding period of one through eight weeks. There is a stronger presence of contrarian profits during 2002–2008 sub-period. The time-series pattern is found to be the main source of contrarian profits, suggesting that idiosyncratic (firm-specific) information is the main contributor to contrarian profits. Interestingly, the influence of idiosyncratic information on such profits has gradually decreased since 2008. Contrarian profits are robust to market sentiment and other systematic risk factors.

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Effect of Investors’ Sentiment on Indian Stock Market

Cited by 13 publications

References 31 publications

Asymmetric relationship of investor sentiment with stock return and volatility: evidence from India

Asymmetric relationship of investor sentiment with stock return and volatility: evidence from India

Nowcasting Indian GDP in Real Time Using Factor Bridge Model and Factor VAR

Presence and Sources of Contrarian Profits in the Bangladesh Stock Market

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